Opinion
China, manufactured defaults and investment psychology
The week on Risk.net, March 2–8, 2019
Op risk data: losses focus attention on bank resilience
Also: StanChart’s control fail fines, plus three losses in Russia. Data by ORX News
Nasdaq auction failure ignites anti-clearing backlash
CCP members wary of illiquid risks
Credit data: a new PD story for Brazil and Mexico?
One has been sliding, the other stable, but the stage appears to be set for a break from those trends
Last orders at the VAR
Inaccurate risk-of-loss estimates threaten to load extra capital charges on US dealers
CDSs get subjective
Legal certainty loses out to commercial objectives in race to fix manufactured defaults
Could machine learning improve CVA and IM calculations?
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
Factors’ tails are fatter than you think
Investors should beware extreme losses from factor investing strategies
FRTB, Brexit brain drain and problems with RFRs
The week on Risk.net, February 23-March 1, 2019
Brexit novations, ML and the failure of alt risk
The week on Risk.net, February 16–22, 2019
Sefs, Libor fallbacks and risk governance in Asia
The week on Risk.net, February 9–15, 2019
Aussie banks: a right Royal mess
Misconduct probe sparks board changes and bout of introspection at Big 4
We need to talk about Collins
Standardised capital has become the binding constraint for all US G-Sibs bar Goldman and BNY Mellon
Swaps data: SOFR volume and margin insights
Data shows recent leap in SOFR trades – and hints at growth in synthetic swaps
SOFR problems, FRTB and ethical AI
The week on Risk.net, February 2–8, 2019
Credit data: falling default risk for China’s banks
Economic data may be relatively gloomy, but default probabilities for lenders fell sharply last year
Op risk data: $1.5bn subprime hit for GE Capital
ED&F Man’s commodities loss; cyber events spiral in 2018. Data by ORX News
Libor, G-Sib charges and Metro Bank’s risk errors
The week on Risk.net, January 26–February 1, 2019
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Data mining, machine learning and problems with autocalls
The week on Risk.net, January 19–25, 2019
Dabbling in data science won’t cut it
Banks are seeking data-led boost for research arms – only a few will succeed
Volcker, US repo and the risk-advisory robot
The week on Risk.net, January 12-18, 2019
Op risk data: JP fined $135m over depository receipts
Top five losses, plus review of Barclays whistleblower fine. Data by ORX News
A tale of two CCPs
Nasdaq and Ice breaches carry warnings for the market